Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -23.01 | -15.98 | -24.02 |
| Market Cap (Millions USD) | 617.92 | 597.5 | 587.37 |
| Predicted Beta | -0.31 | -0.29 | -0.24 |
| Idiosyncratic Volatility | 2.21 | 3.13 | 4.8 |
Annualized return and volatility
| OIH | |
|---|---|
| Annualized Return | -0.0242 |
| Annualized Std Dev | 0.3537 |
| Annualized Sharpe (Rf=0%) | -0.0683 |
Row
Daily Return Statistics
| OIH | |
|---|---|
| Observations | 4819.0000 |
| NAs | 295.0000 |
| Minimum | -0.1746 |
| Quartile 1 | -0.0120 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0126 |
| Maximum | 0.2178 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0005 |
| Stdev | 0.0223 |
| Skewness | -0.1298 |
| Kurtosis | 5.6656 |
Downside Risk
| OIH | |
|---|---|
| Semi Deviation | 0.0160 |
| Gain Deviation | 0.0149 |
| Loss Deviation | 0.0158 |
| Downside Deviation (MAR=210%) | 0.0206 |
| Downside Deviation (Rf=0%) | 0.0159 |
| Downside Deviation (0%) | 0.0159 |
| Maximum Drawdown | 0.8251 |
| Historical VaR (95%) | -0.0348 |
| Historical ES (95%) | -0.0510 |
| Modified VaR (95%) | -0.0348 |
| Modified ES (95%) | -0.0575 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-24 | 2019-10-08 | NA | -0.8251 | 2947 | 2891 | NA |
| 2001-03-09 | 2001-09-26 | 2005-02-16 | -0.5600 | 1009 | 139 | 870 |
| 2006-05-11 | 2006-10-03 | 2007-05-17 | -0.2787 | 260 | 103 | 157 |
| 2007-12-27 | 2008-02-06 | 2008-04-14 | -0.1930 | 76 | 29 | 47 |
| 2006-01-31 | 2006-03-09 | 2006-04-19 | -0.1494 | 56 | 27 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | OIH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | -0.1 | 0.0 | -1.9 | -0.7 | 0.0 | -2.9 | 0.0 | -2.6 | 0.4 | 0.0 | 0.0 | -7.6 |
| 2002 | -0.3 | 1.0 | 0.2 | 2.2 | 0.0 | -1.7 | -6.1 | 0.0 | 3.2 | 5.3 | 0.0 | 0.0 | 3.5 |
| 2003 | 0.0 | 0.0 | 1.4 | 0.0 | 0.0 | -1.0 | 0.8 | 0.0 | 1.8 | 0.0 | 0.7 | 0.0 | 3.6 |
| 2004 | 0.0 | 2.7 | -2.7 | 0.0 | 0.9 | 0.2 | 0.0 | 2.4 | 2.2 | -1.3 | -4.0 | 0.0 | 0.2 |
| 2005 | -0.1 | -2.5 | 2.7 | 0.0 | 1.2 | 1.0 | 1.2 | 1.3 | 0.0 | 1.6 | 3.2 | 0.0 | 9.9 |
| 2006 | -3.9 | 2.0 | 0.0 | 2.4 | 0.2 | 0.0 | 0.5 | 2.5 | 0.0 | -1.7 | 1.0 | 0.0 | 3.0 |
| 2007 | 0.0 | 0.3 | 0.0 | 0.8 | 0.3 | 0.0 | -1.2 | 0.0 | 1.5 | -0.5 | 0.0 | 0.0 | 1.1 |
| 2008 | 2.8 | 0.0 | 1.8 | -2.3 | 0.0 | 1.0 | 0.7 | 0.0 | -4.5 | 0.0 | -14.9 | 0.0 | -15.5 |
| 2009 | 0.0 | 0.0 | 0.9 | 3.5 | 4.9 | -0.3 | 0.0 | -1.5 | -3.3 | 0.0 | 1.2 | 0.0 | 5.3 |
| 2010 | 3.8 | 1.1 | 2.5 | 0.0 | -8.9 | 1.7 | 0.0 | 5.2 | 0.6 | 0.5 | 3.1 | 0.0 | 9.2 |
| 2011 | 0.5 | -2.5 | 0.1 | 0.0 | -2.4 | 0.4 | -0.8 | -1.5 | 0.0 | -4.6 | 0.0 | 0.0 | -10.4 |
| 2012 | 1.0 | 1.5 | 0.0 | 1.0 | -2.2 | 0.0 | 1.8 | 0.0 | 0.2 | 1.2 | 0.0 | 0.0 | 4.6 |
| 2013 | 1.0 | -1.1 | -1.4 | -1.3 | 0.0 | 1.2 | 2.3 | 0.0 | 1.3 | -0.4 | 0.0 | 0.0 | 1.6 |
| 2014 | 0.0 | 0.0 | 0.3 | -0.9 | 0.0 | -0.3 | -0.5 | 0.0 | -2.8 | 0.0 | -1.4 | 0.0 | -5.6 |
| 2015 | 0.0 | 0.0 | 0.8 | -0.1 | -0.3 | -3.4 | 0.0 | -3.5 | -1.8 | 0.0 | 1.0 | 0.0 | -7.2 |
| 2016 | -2.4 | 2.1 | -2.6 | 0.0 | -1.0 | 2.5 | -4.2 | -0.4 | 0.0 | 0.0 | 1.5 | 0.0 | -4.5 |
| 2017 | 0.0 | 2.6 | 0.0 | -1.1 | 0.9 | 0.0 | -1.1 | 1.4 | 0.0 | 1.0 | 3.3 | 0.0 | 7.1 |
| 2018 | 2.0 | 0.4 | 0.0 | -0.8 | -0.3 | 0.0 | -0.8 | 0.0 | 1.1 | 0.8 | 0.0 | 0.0 | 2.3 |
| 2019 | 2.1 | 1.9 | 3.0 | -3.2 | 0.0 | 0.7 | -6.0 | 0.0 | -3.8 | 5.2 | 0.0 | -0.1 | -0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
